摘要翻译：
过去十年来，由于传统的投资策略未能达到回报目标，只考虑风险的投资策略越来越受欢迎。然而，基于风险的投资者应该意识到四件事。首先，理论考虑和实证研究表明，明显指令型风险型投资策略是单一效应的表现。其次，营业额和相关的交易成本可能会严重拖累回报。三是资本多元化效益可能降低。第四，绩效与风险分散之间存在明显的联系。为了以一致的方式分析风险分散收益，我们引入了风险分散指数(RDI)，该指数衡量风险集中程度，并补充了Herfindahl-Herschman指数(HHI)衡量资本集中程度。
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英文标题：
《Risk Without Return》
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作者：
Lisa R. Goldberg, Ola Mahmoud
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  Risk-only investment strategies have been growing in popularity as traditional in- vestment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations and empirical studies show that apparently dictinct risk-based investment strategies are manifestations of a single effect. Second, turnover and associated transaction costs can be a substantial drag on return. Third, capital diversification benefits may be reduced. Fourth, there is an apparent connection between performance and risk diversification. To analyze risk diversification benefits in a consistent way, we introduce the Risk Diversification Index (RDI) which measures risk concentrations and complements the Herfindahl-Herschman Index (HHI) for capital concentrations.
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